public static void Forecasting()
{
//
var strPath = $"AirPassengers.csv";
var mlDF = DataFrame.FromCsv(strPath, sep: ',');
var ts = mlDF["#Passengers"].Select(f => Convert.ToDouble(f));//create time series
//create Singular Spectrum Analysis object
var ssa = new SSA(ts);
//perform analysis
ssa.Fit(36);
//helper vars to hold data
int n = 4;
var setIndex = Enumerable.Range(0, n);
double[][] ts_components = new double[setIndex.Count()][];
//cumulative components array
double[] cumTS = new double[ts.Count()];
//take the first n components and plot it
var models = new List <PlotModel>();
foreach (var i in setIndex)
{
ts_components[i] = ssa.Reconstruct(ssa.Xs[i]);
cumTS = cumTS.Add(ts_components[i]);
var m11 = Daany.Plot.ChartComponent.LinePlot("", $"TS Components {i+1}",
Enumerable.Range(1, ts_components[i].Length).Select(t => (double)t).ToArray(), ts_components[i], System.Drawing.Color.Blue, OxyPlot.MarkerType.Plus);
//
models.Add(m11);
}
//plot component together
ChartComponent.ShowPlots("Passenger TS Components", models.ToArray()).Wait();
//plot sum of the components
var x = Enumerable.Range(1, cumTS.Length).Select(t => (double)t).ToArray();
var m1 = Daany.Plot.ChartComponent.LineSeries("Predicted SSA",
x, cumTS, System.Drawing.Color.Blue, OxyPlot.MarkerType.Plus);
var m2 = Daany.Plot.ChartComponent.LineSeries("Original Time Series",
x, ts.ToArray(), System.Drawing.Color.Red, OxyPlot.MarkerType.Plus);
var model = new PlotModel();
model.Series.Add(m1);
model.Series.Add(m2);
ChartComponent.ShowPlots("Passenger TS vs Predicted", model).Wait();
//Forecasting of time series
var stepAHead = 12;
var predictedTS = ssa.Reconstruct(15);
var predicted = ssa.Forecast(stepAHead);
//create three plotmodel: actual TS, predicted TS, Forcast ts ahead
var mm3 = Daany.Plot.ChartComponent.LineSeries("Predicted Time Series",
x, predictedTS, System.Drawing.Color.Green, OxyPlot.MarkerType.Plus);
var mm2 = Daany.Plot.ChartComponent.LineSeries("Original Time Series",
x, ts.ToArray(), System.Drawing.Color.Red, OxyPlot.MarkerType.Plus);
//forecast steps ahead
var x1 = Enumerable.Range(cumTS.Length, stepAHead + 1).Select(t => (double)t).ToArray();
//start with the last point form the times series
var y = predicted.Skip(ts.Count() - 1).Take(stepAHead + 1).ToArray();
var mm1 = Daany.Plot.ChartComponent.LineSeries($"Forecast of {stepAHead}",
x1, y, System.Drawing.Color.Blue, OxyPlot.MarkerType.Plus);
//add series to model
var model1 = new PlotModel();
model1.Series.Add(mm1);
model1.Series.Add(mm2);
model1.Series.Add(mm3);
//plot forecasting
ChartComponent.ShowPlots("Passenger TS vs Forecasting", model1).Wait();
}
